Study: Buy ENGINERSIN when there is Bullish Centerline Crossover in MACD

home > technical-strategy > enginersin > 37

In this study, we evaluate the performance of strategy "Buy ENGINERSIN when there is Bullish Centerline Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ENGINERSIN at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-614.9273442.866176.3311949.44-4785.98-10662.081.290.97-0.0029-87.85
23591.873442.864074.1610531.14-2157.67-4655.211.891.420.026513.11
31278.4573442.868138.689194.85-5784.39-8094.921.411.060.0057182.64
413181.1674357.146451.2711000.22-4207.97-5988.021.532.040.0691883.02
522667.4475271.436181.217653.58-4119.27-6644.771.53.750.0993238.21
624623.5275271.438265.9413072.88-8353.1-9754.680.992.470.0923517.65
79856.874357.1410628.8121800.84-10886.15-11724.940.981.30.0261408.11
810977.6374357.149228.7412325.73-8645.78-13192.971.071.420.0371568.23
94838.3874357.148904.0113502.82-10259.22-15723.390.871.160.015691.2
10629.473442.8616658.0424120.8-12336.18-15974.51.351.010.001389.91
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ENGINERSIN Performance, X=5, Profit Factor:3.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Jun 2019 (2.84%)
2016109 Nov 2016 (0.04%)
2010103 Mar 2010 (3.64%)
2009120 Jan 2009 (8.83%)
2007116 Jul 2007 (-3.32%)
2003104 Feb 2003 (-0.8%)
2000121 Jul 2000 (0.11%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil25.1222939.683537.521323.3925186.48-8206.11-10634.692.61.560.0442867.45
atrnil37.629930.318262531104.7337779.72-8713.19-11248.593.571.190.0161241.29
atrtrail-15.89-104.9193633.3314879.836307.08-7457.39-10634.6921-0.00019-11.66
atrtrail23.89-4911.9793633.3313277.4522497.19-7457.39-10634.691.780.89-0.011-545.77
atrtrail35.22-11982.2593633.3310920.6924429.74-7457.39-10634.691.460.73-0.028-1331.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ENGINERSIN Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Jun 2019 (-3.3%)
2016109 Nov 2016 (-4.31%)
2010103 Mar 2010 (8.14%)
2009120 Jan 2009 (12.59%)
2007116 Jul 2007 (-3.4%)
2003104 Feb 2003 (-4.19%)
2000221 Jul 2000 (-5.32%), 24 Jul 2000 (11.25%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play